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st: Re: test for AR in panel data


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: test for AR in panel data
Date   Tue, 3 Feb 2004 07:05:32 -0500

On Feb 3, 2004, at 2:33 AM, Stas wrote:

I am not able to use the dwstat or bgtest tests in Stata 7 with a panel
data. Is there a fix for this problem or other tests I can use instead?

- -search heteroskedasticity, all- (which is likely to be a Stata 8 feature
though) reveals Stata's FAQ:
Since both the Durbin-Watson and Breusch-Godfrey tests relate to serial correlation, not heteroskedasticity...

Perhaps Stas was thinking of Breusch-Pagan, which indeed deals with H (at least in one test that pair has proposed).

Kit

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